메뉴 건너뛰기




Volumn 40, Issue 3, 2005, Pages 595-620

Information quality, learning, and stock market returns

Author keywords

[No Author keywords available]

Indexed keywords


EID: 25644434863     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000001885     Document Type: Article
Times cited : (29)

References (31)
  • 2
    • 0036004043 scopus 로고    scopus 로고
    • A re-examination of disclosure level and the expected cost of equity capital
    • Botosan, C. A., and M. A. Plumlee. "A Re-Examination of Disclosure Level and the Expected Cost of Equity Capital." Journal of Accounting Research, 40 (2002), 21-40.
    • (2002) Journal of Accounting Research , vol.40 , pp. 21-40
    • Botosan, C.A.1    Plumlee, M.A.2
  • 3
    • 0000271564 scopus 로고    scopus 로고
    • The role of learning in dynamic portfolio decisions
    • Brennan, M. J. "The Role of Learning in Dynamic Portfolio Decisions." European Finance Review, 1 (1997), 295-396.
    • (1997) European Finance Review , vol.1 , pp. 295-396
    • Brennan, M.J.1
  • 4
    • 0001362606 scopus 로고    scopus 로고
    • Stock return volatility and the equity premium
    • Brennan, M. J., and Y. Xia. "Stock Return Volatility and the Equity Premium." Journal of Monetary Economics, 47 (2001a), 249-283.
    • (2001) Journal of Monetary Economics , vol.47 , pp. 249-283
    • Brennan, M.J.1    Xia, Y.2
  • 5
    • 0035603755 scopus 로고    scopus 로고
    • Assessing asset pricing anomalies
    • Brennan, M., and Y. Xia. "Assessing Asset Pricing Anomalies." Review of Financial Studies, 14 (2001b), 905-942.
    • (2001) Review of Financial Studies , vol.14 , pp. 905-942
    • Brennan, M.1    Xia, Y.2
  • 6
    • 77956771554 scopus 로고    scopus 로고
    • Asset prices, consumption, and the business cycle
    • J. M. Taylor and M. Woodford, eds. Amsterdam: Elsevier
    • Campbell, J. Y. "Asset Prices, Consumption, and the Business Cycle." In Handbook of Macroeconomics, vol. 1, J. M. Taylor and M. Woodford, eds. Amsterdam: Elsevier (1999).
    • (1999) Handbook of Macroeconomics , vol.1
    • Campbell, J.Y.1
  • 7
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: Consumption- based explanation of aggregate stock market behavior
    • Campbell, J. Y., and J. H. Cochrane. "By Force of Habit: Consumption- Based Explanation of Aggregate Stock Market Behavior." Journal of political Economy, 107 (1999), 205-251.
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 8
    • 38249005063 scopus 로고
    • The equity premium and the risk-free rate: Matching the moments
    • Cecchetti, S. G.; P.S. Lam; and N. C. Mark. "The Equity Premium and the Risk-Free Rate: Matching the Moments." Journal of Monetary Economics, 31 (1993), 21-45.
    • (1993) Journal of Monetary Economics , vol.31 , pp. 21-45
    • Cecchetti, S.G.1    Lam, P.S.2    Mark, N.C.3
  • 9
    • 0000013018 scopus 로고    scopus 로고
    • Asset pricing with distorted beliefs: Are equity returns too good to be true?
    • Cecchetti, S. G.; P. S. Lam; and N. C. Mark. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?" American Economic Review, 90 (2000), 787-805.
    • (2000) American Economic Review , vol.90 , pp. 787-805
    • Cecchetti, S.G.1    Lam, P.S.2    Mark, N.C.3
  • 10
    • 0031312301 scopus 로고    scopus 로고
    • Fluctuating confidence in stock markets: Implications for returns and volatility
    • David, A. "Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility." Journal of Financial and Quantitative Analysis, 32 (1997), 427-462.
    • (1997) Journal of Financial and Quantitative Analysis , vol.32 , pp. 427-462
    • David, A.1
  • 12
    • 84944835096 scopus 로고
    • Asset pricing in a production economy with incomplete information
    • Detemple, J. B. "Asset Pricing in a Production Economy with Incomplete Information." Journal of Finance, 41 (1986), 383-391.
    • (1986) Journal of Finance , vol.41 , pp. 383-391
    • Detemple, J.B.1
  • 13
    • 0009186749 scopus 로고
    • Equilibrium interest rates and multiperiod bonds in a partially observable economy
    • Dothan, M. U., and D. Feldman. "Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy." Journal of Finance, 41 (1986), 369-382.
    • (1986) Journal of Finance , vol.41 , pp. 369-382
    • Dothan, M.U.1    Feldman, D.2
  • 14
    • 2442450091 scopus 로고    scopus 로고
    • Information and the cost of capital
    • forthcoming
    • Easley, D., and M. O'Hara. "Information and the Cost of Capital." Journal of Finance (forthcoming 2005).
    • (2005) Journal of Finance
    • Easley, D.1    O'Hara, M.2
  • 15
    • 84944832936 scopus 로고
    • Optimal portfolio choice under incomplete information
    • Gennotte, G. "Optimal Portfolio Choice under Incomplete Information." Journal of Finance, 41 (1986), 733-746.
    • (1986) Journal of Finance , vol.41 , pp. 733-746
    • Gennotte, G.1
  • 16
    • 0043172325 scopus 로고    scopus 로고
    • Rational momentum effects
    • Johnson, T. C. "Rational Momentum Effects." Journal of Finance, 57 (2002), 585-608.
    • (2002) Journal of Finance , vol.57 , pp. 585-608
    • Johnson, T.C.1
  • 17
    • 0009073020 scopus 로고
    • On the 'discount' factor in growth economies
    • Kocherlakota, N. R. "On the 'Discount' Factor in Growth Economies." Journal of Monetary Economics, 25 (1990), 43-47.
    • (1990) Journal of Monetary Economics , vol.25 , pp. 43-47
    • Kocherlakota, N.R.1
  • 18
    • 0042671244 scopus 로고    scopus 로고
    • Learning, asset-pricing tests and market efficiency
    • Lewellen, J., and J. Shanken. "Learning, Asset-Pricing Tests and Market Efficiency." Journal of Finance, 57 (2002), 1113-1145.
    • (2002) Journal of Finance , vol.57 , pp. 1113-1145
    • Lewellen, J.1    Shanken, J.2
  • 20
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas, R. "Asset Prices in an Exchange Economy." Econometrica, 46 (1978), 1429-1445.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.1
  • 23
    • 0142250349 scopus 로고    scopus 로고
    • Stock valuation and learning about profitability
    • Pastor, L., and P. Veronesi. "Stock Valuation and Learning about Profitability." Journal of Finance, 58 (2003), 1749-1789.
    • (2003) Journal of Finance , vol.58 , pp. 1749-1789
    • Pastor, L.1    Veronesi, P.2
  • 24
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • Sharpe, W. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance, 19 (1964), 425-442.
    • (1964) Journal of Finance , vol.19 , pp. 425-442
    • Sharpe, W.1
  • 25
    • 21344484980 scopus 로고
    • How learning in financial markets generates excess volatility and predictability in stock prices
    • Timmermann, A. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices." Quarterly Journal of Economics, 108 (1993), 1135-1145.
    • (1993) Quarterly Journal of Economics , vol.108 , pp. 1135-1145
    • Timmermann, A.1
  • 26
    • 0033407259 scopus 로고    scopus 로고
    • Stock market overreaction to bad news in good times: A rational expectations equilibrium model
    • Veronesi, P. "Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model." Review of Financial Studies, 12 (1999).
    • (1999) Review of Financial Studies , vol.12
    • Veronesi, P.1
  • 27
    • 0007983127 scopus 로고    scopus 로고
    • How does information quality affect stock returns?
    • Veronesi, P. "How Does Information Quality Affect Stock Returns?" Journal of Finance, 55 (2000), 807-837.
    • (2000) Journal of Finance , vol.55 , pp. 807-837
    • Veronesi, P.1
  • 28
    • 84960614899 scopus 로고
    • A model of intertemporal asset prices under asymmetric information
    • Wang, J. "A Model of Intertemporal Asset Prices under Asymmetric Information." Review of Economic Studies, 60 (1993), 249-282.
    • (1993) Review of Economic Studies , vol.60 , pp. 249-282
    • Wang, J.1
  • 29
    • 84984199207 scopus 로고
    • Disclosure policy, information asymmetry and liquidity in equity markets
    • Welker, M. "Disclosure Policy, Information Asymmetry and Liquidity in Equity Markets." Contemporary Accounting Research, 12 (1995), 801-827.
    • (1995) Contemporary Accounting Research , vol.12 , pp. 801-827
    • Welker, M.1
  • 30
    • 0039107366 scopus 로고    scopus 로고
    • Learning about predictability: The effect of parameter uncertainty on asset allocation
    • Xia, Y. "Learning about Predictability: The Effect of Parameter Uncertainty on Asset Allocation." Journal of Finance, 56 (2001), 205-246.
    • (2001) Journal of Finance , vol.56 , pp. 205-246
    • Xia, Y.1
  • 31
    • 25644453072 scopus 로고    scopus 로고
    • Unobservable state variables, learning and asset prices
    • UC, Berkeley
    • Yan, H. "Unobservable State Variables, Learning and Asset Prices." Working Paper, UC, Berkeley (1999).
    • (1999) Working Paper
    • Yan, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.